中国银行业逆周期资本监管、货币政策交互作用的宏观经济绩效评价及其政策设计研究

The transition from micro-prudential to macro-prudential regulation becomes the hotspot of the banking sector after the subprime mortgage crisis. One of the core academic issues in this new regulatory framework is the interaction mechanism between the countercyclical capital regulation and monetary policy and its macroeconomic performance modeling and measure. First, considering the impact of multiple structural driving factors in China, this project builds the dynamic macroeconomic model of the countercyclical capital buffers, and gets optimal anchor variables of the countercyclical capital regulation; Then we include endoge- nous systemic risk factors in New Keynesian dynamic random general equilibrium model, explore the total demand and total supply channels of countercyclical capital regula- tion and monetary policy interactions, and simulate dynamically the interaction mechanisms between countercyclical capital regulation and monetary policy in a variety of shock scenarios; Then in the fixed policy system and system transformation framework,we investigate how the interaction mechanism between the countercyclical capital regulation and monetary policy affects the macroeconomic performances, such as output fluctuation, the increase in output, social welfare, in short term and long term, fully cooperative and non-cooperative scenario respectively. At last, we present the coordination mechanism between the countercyclical capital regula- tion and monetary policy based on the perspective of Basel III, providing the theore- tical basis and policy advice for development of macro-prudential regulation in the future.

次贷危机之后，由微观审慎向宏观审慎监管的过渡成为银行领域的热点，这一新监管模式的核心学术问题之一是逆周期资本监管与货币政策间交互作用机理及其宏观经济绩效的建模和测度。本项目首先考虑中国多种结构性驱动因素的影响，构建银行业逆周期资本缓冲的动态宏观经济模型，得出逆周期资本监管的最优锚变量；然后将内生系统性风险因素纳入新凯恩斯动态随机一般均衡模型中，探究逆周期资本监管与货币政策交互作用的总需求和总供给渠道，并在多种冲击情景下，动态模拟逆周期资本监管与货币政策的相互影响机制；接着在固定政策体制和体制转换两种框架下，分别考察短期和长期内、完全合作和非合作情景下，逆周期资本监管与货币政策交互作用对产出波动、产出增长和社会福利等宏观经济绩效的影响；最后基于巴塞尔协议III视角，提出逆周期资本监管与货币政策之间的协调机制，为中国未来宏观审慎监管的开展提供理论依据和政策建议。

首先，本项目将监管惩罚和流动性要求因素同时引入理论分析框架，分析流动性要求是否改变资本监管对商业银行行为的影响。比较静态分析表明：提高流动性要求会增强商业银行贷款、资本金对资本充足率要求的敏感性，减弱贷款履约率对资本充足率要求的敏感性。其次，本项目探讨经济周期不同阶段资本充足率要求、惩罚力度如何改变货币政策对商业银行行为的影响。理论分析表明：当经济处于繁荣时期，紧缩性货币政策会导致均衡贷款数量下降，若监管当局也采取逆周期资本监管措施，提高资本充足率要求，这会减弱商业银行贷款调整对货币政策的敏感性，当经济处于衰退时期，若监管当局降低资本充足率要求，这会增强商业银行贷款调整对扩张性货币政策的敏感性；提高政府债券利率或法定存款准备金率要求时，商业银行资本金增加，降低资本充足率要求会增强紧缩性货币政策对商业银行资本金的影响；提高资本充足率要求会增强贷款履约率对货币政策的敏感性，货币政策的独立作用与两者交互项的影响叠加，有利于紧缩性货币政策发挥风险抑制作用。最后，本项目将贷款利率与资本缺口的平方项作为金融稳定目标，结合博弈论与一般均衡模型，探讨资本监管与货币政策之间的协调机制。